用蒙特卡罗模拟法估算IDX开发板和主板指数的风险值(VaR

Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018) Pub Date : 1900-01-01 DOI:10.2991/icbmr-18.2019.54

Ridho Wiryarahadi, Yogo Purwono

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引用次数: 0

摘要

本文讨论了运用copulas与蒙特卡罗模拟在印尼股市中估计风险值(VaR)的方法。作为一个例子，我们构建了一个由IDX主板指数和发展板指数组成的投资组合，各占50%。基于Kupiec的故障比例检验(POF)，用Monte Carlo-Copula方法估计的99% VaR不被拒绝。因此，可以得出结论，Monte Carlo-Copula方法可以用来估计印尼股票市场的VaR。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Use Of Copulas in Estimating The Value at Risk (VaR) Of The IDX Development Board and Main Board Indices with Monte Carlo Simulation

This article discusses the use of copulas to estimate Value at Risk (VaR) with Monte Carlo simulation in the Indonesian stock market. As an illustration, we construct a portfolio which consists of the IDX Main Board and Development Board Indices in equal proportion (50% each). Based on Kupiec’s Proportion of Failure Test (POF), the estimated 99% VaR with the Monte Carlo-Copula method is not rejected. Therefore, it can be concluded that the Monte Carlo-Copula method can be used to estimate VaR in the Indonesian stock market.

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Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)

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